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do all test please ASAP Q1: For each of the following statements, choose the right answer(s). (30 marks) a. This type of risk is avoidable
do all test please ASAP Q1: For each of the following statements, choose the right answer(s). (30 marks) a. This type of risk is avoidable through proper diversification o portfolio risk systematic risk unsystematic risk total risk b. A statistical measure of the degree to which two variables (e.g., securities' returns) move together. coefficient of variation o variance covariance o certainty equivalent c. A measure of "risk per unit of expected return." standard deviation O coefficient of variation correlation coefficient obeta d. Stock A has an expected return of 10% per year and stock B has an expected return of 20%. If 55% of the funds are invested in stock B, what is the expected return on the portfolio of stock A and stock B? o 10% o 20% o 15.5% o None of the above e. Stock X has a standard deviation of return of 10%. Stock Y has a standard deviation of return of 20%. The correlation coefficient between stocks is 0.5. If you invest 60% of the funds in stock X and 40% in stock Y, what is the standard deviation of a portfolio? o 10% e. Stock X has a standard deviation of return of 10%. Stock Y has a standard deviation of return of 20%. The correlation coefficient between stocks is 0.5. If you invest 60% of the funds in stock X and 40% in stock Y, what is the standard deviation of a portfolio? o 10% o 20% o 12.2% o 22% o None of the above f. The variance or standard deviation is a measure of Total risk Unique risk Market risk o None of the above Q2: The current value of a stock portfolio is S 23 million. A financial analyst summarizes the uncertainty about next year's holding-period return using the scenario analysis in the following spreadsheet. Business Scenario. Probability. End-of-Year Value Adividend Conditions is million) (5 min) S 1 P ca 5 4.4 0.45 High growth Normal growth No growth Recession 3 4 4 2 005 8 a. What are the annual holding-period returns of the portfolio in each scenario? (20 marks) following spreadsheet Business Scenario, Probability. End-of-Year Value Arms dividend Conditions P (5 million) (5 million) High growth 1 03 35 44 Normal growth 2 0.45 w No growth 3 02 15 4 Recession 4 006 8 2 4 a. What are the annual holding-period returns of the portfolio in each scenario? (20 marks) b. Calculate the expected holding-period return, the standard deviation of returns, and the 5% VaR. (25 marks) b. Calculate the expected holding-period return, the standard deviation of retums, and the 5% VaR. (25 marks) Q3. You have decided to invest all your wealth in two mutual funds: A and B. Their returns and risks are as follows: The mean returns are: The covariance matrix is: You want your total portfolio to yield a return of 12%. 1. What proportions of your wealth should you invest in A and B? (10 marks) Q3: You have decided to invest all your wealth in two mutual funds: A and B. Their returns and risks are as follows: The mean returns are: The covariance matrix is: You want your total portfolio to yield a return of 12%. 1. What proportions of your wealth should you invest in A and B? (10 marks) 2. What is the standard deviation of the return on your portfolio? (10 marks)
do all test please ASAP
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